Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.1211
Annualized Std Dev 0.3814
Annualized Sharpe (Rf=0%) 0.3174

Row

Daily Return Statistics

Close
Observations 3711.0000
NAs 1.0000
Minimum -0.2318
Quartile 1 -0.0078
Median 0.0014
Arithmetic Mean 0.0007
Geometric Mean 0.0005
Quartile 3 0.0108
Maximum 0.2259
SE Mean 0.0004
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0015
Variance 0.0006
Stdev 0.0240
Skewness -0.2140
Kurtosis 14.2186

Downside Risk

Close
Semi Deviation 0.0176
Gain Deviation 0.0174
Loss Deviation 0.0201
Downside Deviation (MAR=210%) 0.0213
Downside Deviation (Rf=0%) 0.0172
Downside Deviation (0%) 0.0172
Maximum Drawdown 0.8282
Historical VaR (95%) -0.0368
Historical ES (95%) -0.0596
Modified VaR (95%) -0.0333
Modified ES (95%) -0.0355
From Trough To Depth Length To Trough Recovery
2007-10-10 2009-03-09 2013-09-18 -0.8282 1496 355 1141
2020-02-13 2020-03-23 2021-02-10 -0.6313 251 27 224
2018-01-29 2018-12-24 2019-07-12 -0.3464 366 229 137
2015-05-20 2016-02-11 2016-07-13 -0.2728 290 185 105
2007-07-20 2007-08-15 2007-10-09 -0.1560 57 19 38

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA 0 -1.1 1.3 -0.7 -0.7 -0.6 -0.5 -2.3
2007 0.7 -0.5 0.1 1.1 0.5 -0.2 1.1 1.5 2.6 -5.1 0.6 -1.2 1.1
2008 2.1 -5 6.4 3 0.2 0.6 -0.8 -2.7 2.3 3.6 -15 2.4 -4.6
2009 -3.8 -3.1 4 0.9 4.2 1.2 0.4 -4 -4.3 -4.9 2.3 -2.1 -9.4
2010 2.5 1.4 1.2 -3 -2.3 -0.8 0.1 5.1 0.7 0.1 4.5 0.4 10.1
2011 2.4 -2.9 0.7 1.1 -4.4 2.8 -0.4 -1.9 -4.2 -4.9 -0.1 -1.1 -12.6
2012 1.3 0.4 1.1 1 -4.6 4.4 -0.6 1.3 1 2.2 -0.1 2.1 9.6
2013 1.9 0.6 -0.1 -1.8 -2.6 1.3 1.4 -0.5 0.8 0.7 -0.1 0.9 2.3
2014 -2 0.6 0.8 -0.3 0.2 1.6 -0.9 0.2 -2.8 2.2 -0.6 -1.8 -3.1
2015 -2.8 -0.9 -0.9 2 0.3 1.8 -0.6 -5.5 0 -1 1.7 -2.1 -8
2016 -0.1 4.1 1.2 -0.6 0.1 0.4 -0.3 0.1 1.7 -1.1 0.6 -0.4 5.6
2017 0.2 2.9 -0.6 -0.2 1.2 0.4 0.6 0.2 0.1 0.5 0 -0.5 5
2018 0.2 -3.4 2.8 -0.7 1.8 0.4 -0.7 -0.2 1.6 2.1 1.5 2.5 8.3
2019 0.3 0.8 2.5 -1.1 -2.7 0.9 -2.1 0.4 -2.6 2.1 -0.5 0.3 -1.7
2020 -4 -2.4 -9 -5 0.8 -0.4 0.9 1.8 0.4 -1 1.3 1.1 -15.2
2021 1.5 4 -1.6 NA NA NA NA NA NA NA NA NA 3.9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2006-06-21  12.0 SPY    125.  0.0074   0.0122  -0.0089  -0.0412   0.0291    0.257   0.0247 GLD    58.3  0.018     0.0487
2 2006-06-22  11.9 SPY    124. -0.0044  -0.0132  -0.0057  -0.0434   0.0238    0.265   0.0214 GLD    57.7 -0.0103    0.0072
3 2006-06-23  11.8 SPY    124. -0.0002  -0.0017  -0.0137  -0.0443   0.0382    0.263   0.0262 GLD    58.0  0.0045    0.0054
4 2006-06-26  11.9 SPY    125.  0.0044   0.0107  -0.0215  -0.0387   0.0505    0.282   0.0263 GLD    58.3  0.005     0.0341
5 2006-06-27  11.6 SPY    124. -0.0086  -0.0015  -0.0348  -0.0411   0.0399    0.254   0.0121 GLD    57.7 -0.0103    0.0066
6 2006-06-28  11.7 SPY    125.  0.0068  -0.0021  -0.0107  -0.0406   0.0383    0.277   0.0075 GLD    57.5 -0.00240  -0.0135
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart